An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (Q3581020): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (4 intermediate revisions by 3 users not shown) | |||
| Property / author | |||
| Property / author: Q177674 / rank | |||
| Property / author | |||
| Property / author: Giuseppe Carlo Calafiore / rank | |||
Normal rank | |||
| Property / describes a project that uses | |||
| Property / describes a project that uses: YALMIP / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1137/080723776 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2081080078 / rank | |||
Normal rank | |||
Latest revision as of 02:08, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs |
scientific article |
Statements
An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (English)
0 references
16 August 2010
0 references
Dynamic optimization
0 references
strategic asset allocation
0 references
multistage decision problems
0 references
risk control
0 references
convex optimization
0 references
portfolio optimization
0 references
transaction costs
0 references
affinely parameterized control function.
0 references
